Roger Ibbotson

Roger Ibbotson

Professor in the Practice of Finance, Yale School of Management.  Chairman and CIO of Zebra Capital Management, LLC. Founder, Advisor and former Chairman of Ibbotson Associates, now a Morningstar Company. Has written numerous books and articles including Stocks Bonds Bills and Inflation.

Homepage (Yale)
Ibbotson Associates (now Morningstar)
Research (SSRN)
Relevant Postings (

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One Comment

  1. Aybel
    August 14, 2012 at 10:01 pm

    Dear John D,You are absolutely right about tiradng fees as well as hidden fees taking a toll on your rate of return. They don’t apply in this case so I don’t need to mention them. I’ll explain why they don’t apply later. More important than tiradng fees are taxes if you happen to be using our approach in a taxable portfolio. While most of our trades using long term moving averages that make a profit are in fact under the category of long term capital gains which are taxed significantly less than short term capital gains nevertheless they are real. I estimate that the tax consequences of our approach vs the buy and hold to be less than 1/2% per year over extended time frames. It is real and I don’t bring it up because it clouds the concepts we are trying to espouse especially when most people have their money in tax deferred accounts.So why don’t fees matter? Because in a typical year our approach generates an average of 2 trades per year. So even if we did pay a commission on every trade it would be negligible. But we don’t pay commissions and you don’t have to either if you trade the correct ETFs or index funds at Schwab, Fidelity or Vanguard. If you are paying commissions on your ETFs or index funds you need to find a different broker.The end result is that when using long term moving averages you have period s for up to 4 years where a particular index is in a up trend and no tiradng needs to be done. This is where you make your real money. You are out when markets are going lower -you miss the bottom and catch them when they are going up. You expect them to keep rising but if they don’t you are preserving capital so that you can play another day. I suggest you devote your time to selecting the best asset classes for what you consider to be long term performance. By this I mean that no amount of long term moving average could make you money if you had all your money in Japan over the last 20 years. However, if you had it in China or Brazil you would have made a fortune. Our approach does not mean you can afford to pick the wrong asset classes. If you read our paper on Stock Asset Class Persistency you can see how we have solved this problem.Thanks for the comment and let me know if I have answered your question. BTW I plan on introducing a free-service for investors age 30 and under in the next few months that will provide you with a detailed portfolio as well as a way to make certain you are learning the lessons to succeed the rest of your life.

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